48 citations · 195 across the 26 of their papers we have counts for
36 papers
Optimal Resource Extraction under Distribution Learning and Infinite-Horizon Stochastic Hamilton--Jacobi Equations
Ulrich Horst, Jinniao Qiu, Yang Yang
We study an infinite-horizon stochastic control problem for the optimal exploitation of an exhaustible resource with unknown total reserves. Information is generated both endogenou…
Mean-field control problems with multi-dimensional singular controls
Robert Denkert, Ulrich Horst
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-di…
Second-Order Approximation of Limit Order Books in a Single-Scale Regime
Ulrich Horst, Dörte Kreher, Konstantins Starovoitovs
We establish a first- and second-order approximation for an infinite dimensional limit order book model in a single (critical) scaling regime where market and limit orders arrive a…
Mean-Field Liquidation Games with Market Drop-out
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider a novel class of portfolio liquidation games with market drop-out ("absorption"). More precisely, we consider mean-field and finite player liquidation games where a pla…
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We consider a mean-field control problem with càdlàg semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We…
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Ulrich Horst, Evgueni Kivman
We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the opt…